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Description
Currently, all estimators and algorithms that use integration inside them, rely on scipy.integrate.quad or on our own integrator called RQMC. The better approach is to have unified integration interfaces, with possibility to use external integration procedure (e.g. hcubature from julia)
It seems that in order to implement this interfaces we should
- Figure out what types of integrals exists in methods, what their parameters
- Specify general interface of integration: probably it should return something like
IntegrationResult(value : float, error : float) - Make wrapper over
scipy.stats.quadand rewrite RQMC-interfaces.
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API DesignFor issues related to interfaces specifications or namingFor issues related to interfaces specifications or namingenhancementNew feature or requestNew feature or request